<t>> This is exactly what concerns me. When you look at the history of computing the languages and tools which have stood the test of time are those that are 1) > ISO/ANSI/IEEE standard (Cobol, Fortran, C++) and/or 2) have evolved from previous, immature technologies (for example, MPI, OpenMP)I woul...

<t>> How can we get guaranteed error bounds in general? Are you using some interval arithmetic?Very good question. The answer is no, that's why this is subtle. If you use interval arithmetics you arrive to worst case error estimates which unavoidably tell you errors explode exponentially in the numb...

<t>Traditional parallelism is achieved with clusters/MPI but the emerging new trend is to use massively parallel GPUs and manufacturer provided BLAS. The two strategies are quite different. With clusters you try to use sparse matrices without storing them and apply them or invert them on vectors. Na...

<t>> I read somewhere that Jack Dongarra claimed speed up of 10 even with LU and for eigenvalue problems. It seems almost too good to be true but it might be worth a try.Dongarra used iterative methods in mixed precision, not purely in single precision as I suggest. Dongarra's idea is to implement i...

<r>Hello everyone, I think the point Manlio and I want to make is not that of proposing yet another short rate model. As a matter of fact we wrote several papers recently, each one with a new model specification. Our main objective is rather to develop a viable numerical framework for models specifi...

<r>Actually MATLAB is a good platform for the implementation we propose. The keypoint there is that one needs to have access to an efficient implementation of a matrix-matrix multiplication algorithm. Matlab does that for you.I'd be interested to know how come you find the implementation description...

<r>What one needs is to price the CMS spreads structure by modeling directly and hopefully correctly the monetary policy scenarios. I just wrote a note on this and posted it on my web site at <URL url="http://www.level3finance.com/publications.html">http://www.level3finance.com/publications.html</UR...